Fractional Lévy processes with an application to long memory moving average processes

By T. Marquardt. 2006

147 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5aa6851fe19d2b17719b49a347b51e5352f0b70c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Robert Stelzer
2. Ole E. Barndorff-Nielsen
3. Peter J. Brockwell
4. V. Todorov
5. Eduardo Abi Jaber
6. Christa Cuchiero
7. Martin Larsson
8. Sergio Pulido

In Statistics and Probability

1. Ole E. Barndorff-Nielsen
2. Robert Stelzer
3. Peter J. Brockwell
4. Eduardo Abi Jaber
5. Sergio Pulido
6. Christa Cuchiero
7. Martin Larsson
8. T. Marquardt

Citations in the corpus

• Multivariate supOU processes (2010, background): “OU-type processes could be replaced by fractional OU-type processes (see [30] or [31], for instance) to have long memory effects included in the model.”
• Recent results in the theory and applications of CARMA processes (2014, methodology): “An analogous approach in which fractional Brownian motion was replaced by a fractional Lévy motion was taken by Marquardt (2006).”
• A weak solution theory for stochastic Volterra equations of convolution type (2019, background): “The most basic ones are Lévy driven moving averages where the characteristics of the driving semimartingale are constant and thus do not depend on X (Basse and Pedersen, 2009; Marquardt, 2006).”